The impact of social and conventional media on firm equity value: A sentiment analysis approach

This study aims to investigate the effect of social media and conventional media, their relative importance, and their interrelatedness on short term firm stock market performances. We use a novel and large-scale dataset that features daily media content across various conventional media and social media outlets for 824 public traded firms across 6 industries. Social media outlets include blogs, forums, and Twitter. Conventional media includes major newspapers, television broadcasting companies, and business magazines. We apply the advanced sentiment analysis technique that goes beyond the number of mentions (counts) to analyze the overall sentiment of each media resource toward a specific company on the daily basis. We use stock return and risk as the indicators of companies' short-term performances. Our findings suggest that overall social media has a stronger relationship with firm stock performance than conventional media while social and conventional media have a strong interaction effect on stock performance. More interestingly, we find that the impact of different types of social media varies significantly. Different types of social media also interrelate with conventional media to influence stock movement in various directions and degrees. Our study is among the first to examine the effect of multiple sources of social media along with the effect of conventional media and to investigate their relative importance and their interrelatedness. Our findings suggest the importance for firms to differentiate and leverage the unique impact of various sources of media outlets in implementing their social media marketing strategies.